Forward-backward stochastic differential equations: initiation, development and beyond
DOI10.3934/naco.2022011zbMath1515.60227OpenAlexW4285135851WikidataQ115218769 ScholiaQ115218769MaRDI QIDQ6164084
Publication date: 26 July 2023
Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/naco.2022011
representation theoremmartingale problemforward-backward stochastic differential equationbackward stochastic partial differential equationsfour-step scheme
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Second-order parabolic systems (35K40)
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